Black-Scholes 選擇權定價模式的重要假設之一為股價分配服從對數常態分配（ 或其報酬服從常態分配）。股價報酬分配不為常態分配常被認為是造成價內、價上與價外選 擇權價格行為不同之主因。本文應用蒙地卡羅模擬方法，對四種不同的股價報酬分配，探討 其對選擇權定價的影響。研究的結果，出乎理論學者的預料之外，這些連續型的股價報酬分 配，雖對價內、價上及價外選擇權的價格有所影響，但程度不大。此結果的重要含意是未來 的研究可考慮間斷型的股價跳躍分配模式。

　　　　　One of the assumptions of the Black-Scholes option pricing model is that stock prices are lognormally distributed (or price returns are normally distributed). Non-normal distributions of stock price returns are often attributed to different pricing behavior between in-the-money, at-the-money, and out-of-the-money options by theorists. This paper employs Monte Carlo Simulation to investigate the impact of four different distibutions of stock price returns on option pricing. Results indicate that non-normal distributions of stock price returns, though influencing option pricing, are difficult to be attributed to the different pricing behavior between in-the-money, at-the-money, and out-of-the-money options. The implication of this important finding is that future researches may consider jump models of stock price distributions or ther factors.